Optimality of the threshold dividend strategy for the compound Poisson model |
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Authors: | Chuancun Yin Kam Chuen Yuen |
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Institution: | aSchool of Mathematical Sciences, Qufu Normal University, Shandong 273165, China;bDepartment of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong |
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Abstract: | In this paper, we consider the optimal dividend problem for the compound Poisson risk model. We assume that dividends are paid to the shareholders according to an admissible strategy with dividend rate bounded by a constant. Our objective is to find a dividend policy so as to maximize the expected discounted value of dividends until ruin. We give sufficient conditions under which the optimal strategy is of threshold type. |
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Keywords: | MSC: primary 60G51 secondary 93E20 91B30 |
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